ImportError: No module named 'Blender'
It looks like you are following a tutorial/code written for Blender 2.49 or lower. However, if you are running that code in a current version of Blender 2.50 and upwards there is no module named Blender. That's why you get that Import Error. 

A good place to get information about the current API and Blender script writing in general is the current documentation. It contains :   


Blender/Python Quickstart: new to blender/scripting and want to get your feet wet?
Blender/Python API Overview: a more complete explanation of python integration
Blender/Python Addon Tutorial: a step by step guide on how to write an addon from scratch
Blender/Python API Reference Usage: examples of how to use the API reference docs
Best Practice: Conventions to follow for writing good scripts
Tips and Tricks: Hints to help you while writing scripts for blender
Gotcha’s: some of the problems you may come up against when writing scripts


...and a whole lot more :)